The singer-songwriter, 51 - who first met the late monarch at the Royal Variety Performance in 1993 - has admitted he had a "little tear" in his eye when he heard the news.
He's paid tribute to the late queen - who passed away, aged 96, on September 8 - telling the Sun that she did "such a wonderful job and was such a wonderful example to us all."
The Take That member has spoken about having met her on numerous occasions over the last three decades, estimating that they had met each other on more than 30 occasions.
Gary told the outlet that he knew that his track Sing - which he co-wrote with Andrew Lloyd Webber, now 74, for the Diamond Jubilee in 2012 - was "one of her favourite songs".
He explained that he had a series of one-to-one meetings with her over the two years ahead of the celebration, saying that whilst her title was "intimidating", she herself wasn't.
"She was so good at putting everyone at ease, she never let anyone feel intimidated," he said, adding that the late monarch was able to talk to people from all walks of life.
He said that she had wanted "everyone else to have a good time" during the Jubilee concert rather than expressing an interest in such a special occasion celebrating her.
Gary - who was awarded an OBE in 2012 - told the outlet that there are several photos from that day in his home, as well as a framed telegram that she sent thanking him after it.
The musician explained that he was also involved in a "little impromptu concert" for the late monarch earlier that same year, saying that it was held around her birthday.
It's said to have been part of an intimate gathering, where Gary and Andrew performed Sing for her. He further told the outlet that he had taken the plans for Jubilee with him.
He said that she spent around 20 minutes looking at the plans, adding that she was "really interested". Gary recalled talking to the late monarch about horses that evening too.
He further commented: "Those little moments when there are no cameras - there are no pictures from that night at all - where everyone was chatting, are so, so special."
Gary - who has described the late monarch as a "truly wonderful woman" - had met her on other occasions, including at her 90th birthday celebrations in 2016.
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